Link exchanges may be seen as a link scheme and can result in a penalty. So you shouldn't go too heavy with them.

If you do exchange with Relevant sites which have good PR and good alexa it is good for you and google really loves it. I am not telling for Thousands of link exchange. you do link exchange with other processes. When you get a good position you should stop it. You should do it how much you need it not TOO HEAVY.